Because god-specific Chaos are much more entertaining than "chaos undivided", as they immerse themselves in the terror, for the same reason I like the Emperor's Children, Thousand Sons and World Eater's.. as well as the warbands of the legions (like Black Legion has Children of Torment [Slaanesh loyal noisemarine style warband], Sons of the Cyclops [Tzeetch], Bringers of Decay [Nurgle] and of course Hounds of Abaddon [Khorne loyal], there are more legions that have the same sort of deal).